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Variance Reduction Using Nonreversible Langevin Samplers
A standard approach to computing expectations with respect to a given target measure is to introduce an overdamped Langevin equation which is reversible with respect to the target distribution, and to approximate the expectation by a time-averaging estimator. As has been noted in recent papers [30,...
| Autores principales: | , , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
Springer US
2016
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| Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC4939425/ https://www.ncbi.nlm.nih.gov/pubmed/27453589 http://dx.doi.org/10.1007/s10955-016-1491-2 |